Yes:
1. Open a second HeidiSQL session to the same server
2. Go to Host -> Processlist
3. Find the evil process and kill it using [Del] or context menu
The running HeidiSQL instance will get some error "Cannot retrieve resultset" but that can safely be ignored.

It would be really nice if we had a behavior like in the native mysql commandline client where i can press CTRL+C to abort the current query and have heidisql automatically send "KILL QUERY <thread_id>".